All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC
ralph lauren polo

 
Vincenzo Costa
 
''Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods''
( 2004, Vol. 3 No.43 )
 
 
In this paper we consider a model of a stochastic two-country economy and we use the martingale properties, the change of the numéraire technique and the risk neutral evaluation for achieving some important relations between interest rate of two markets, in particular the so-called uncovered interest rate parity.
 
 
Keywords:
JEL: C0 - Mathematical and Quantitative Methods: General
G1 - General Financial Markets: General (includes Measurement and Data)
 
Manuscript Received : Jul 31 2004 Manuscript Accepted : Nov 04 2004

  This abstract has been downloaded 637 times                The Full PDF of this paper has been downloaded 87737 times